Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0101 |
| Annualized Std Dev | 0.3333 |
| Annualized Sharpe (Rf=0%) | 0.0303 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3475.0000 |
| NAs | 1.0000 |
| Minimum | -0.2995 |
| Quartile 1 | -0.0065 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0078 |
| Maximum | 0.2988 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0004 |
| Stdev | 0.0210 |
| Skewness | 0.0326 |
| Kurtosis | 32.4111 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0150 |
| Gain Deviation | 0.0165 |
| Loss Deviation | 0.0177 |
| Downside Deviation (MAR=210%) | 0.0191 |
| Downside Deviation (Rf=0%) | 0.0149 |
| Downside Deviation (0%) | 0.0149 |
| Maximum Drawdown | 0.8215 |
| Historical VaR (95%) | -0.0293 |
| Historical ES (95%) | -0.0513 |
| Modified VaR (95%) | -0.0203 |
| Modified ES (95%) | -0.0203 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-21 | 2009-03-06 | 2021-02-22 | -0.8215 | 3402 | 439 | 2963 |
| 2021-02-25 | 2021-02-26 | 2021-03-08 | -0.0398 | 8 | 2 | 6 |
| 2006-11-24 | 2006-11-28 | 2006-12-04 | -0.0204 | 6 | 3 | 3 |
| 2021-03-15 | 2021-03-16 | NA | -0.0147 | 6 | 2 | NA |
| 2021-03-09 | 2021-03-09 | 2021-03-10 | -0.0117 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 | -0.5 | -0.5 |
| 2007 | 0.1 | -0.7 | -0.8 | -0.8 | 0.1 | -1.1 | -2.8 | 1.4 | 0.5 | -0.4 | 1.9 | 1.7 | -1.1 |
| 2008 | 1.1 | -4.6 | 6.1 | 3.3 | 2.1 | 1.2 | 0.2 | -0.2 | 3.3 | 5 | -11.9 | 4.8 | 9.4 |
| 2009 | -7.2 | -4.5 | 1.4 | -1.6 | 2.5 | -0.3 | 0.8 | -6 | -3.8 | -4.2 | 2.1 | -0.3 | -19.6 |
| 2010 | 0.9 | 0.4 | 0.5 | -2 | -3.2 | -1.8 | 0.4 | 4 | 0.1 | -0.1 | 1.8 | -0.1 | 0.7 |
| 2011 | 1.5 | -1.5 | 1 | -0.3 | -3.1 | 1.4 | -1.2 | -0.6 | -1.2 | -4.3 | -0.6 | -0.3 | -9.1 |
| 2012 | 1.7 | 0.7 | 0.8 | 1.1 | -3.2 | 2.7 | -0.2 | 0.4 | 0.4 | 1.7 | 0.7 | 0.5 | 7.5 |
| 2013 | 1.1 | 0 | -0.6 | -1.1 | -1.4 | 0.3 | 1.4 | -0.7 | 0.9 | 0 | -0.5 | 0.4 | -0.2 |
| 2014 | -0.9 | 0.5 | 0.3 | 0.5 | 0.3 | 0.8 | -0.6 | 0.5 | -0.9 | 1.6 | -0.7 | -1.2 | 0.2 |
| 2015 | -1.6 | -0.3 | -0.4 | 0.9 | 0 | 1.6 | -0.5 | -2.9 | 0 | -1.2 | 1.1 | -1.1 | -4.3 |
| 2016 | -0.5 | 3.2 | 0.6 | -0.7 | 0 | -0.3 | -0.3 | -0.4 | 1.5 | -0.3 | 1.2 | 0.2 | 4.2 |
| 2017 | 0.1 | 2.4 | -0.4 | 0.5 | 1.2 | 0.2 | 0.7 | 0.4 | 0.4 | 0 | 0.1 | -0.4 | 5.3 |
| 2018 | 0.9 | -1.4 | 1.1 | -0.3 | 1.1 | -0.2 | -0.4 | 0 | 0.2 | 0.5 | 0.8 | 0.9 | 3.4 |
| 2019 | 0.7 | 0.5 | 2.4 | -1.2 | -1.6 | 1.2 | -2.7 | 0.3 | -2.7 | 1.5 | -0.2 | 0.4 | -1.4 |
| 2020 | -1.7 | -2.7 | -6.1 | -4.1 | 1.6 | -1.9 | -0.1 | 0.2 | -0.1 | -0.2 | 2.4 | 1.3 | -11 |
| 2021 | 1.4 | 3.1 | -1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-11-07 49.0 SPY 139. 0.0038 0.006 0.0261 0.0916 0.134 0.303 0.233 GLD 62.0 0.00240 0.0299
2 2006-11-08 49 SPY 139. 0.0022 0.015 0.0269 0.0906 0.136 0.315 0.238 GLD 61.1 -0.015 -0.0041
3 2006-11-09 48.7 SPY 138. -0.0053 0.0102 0.0227 0.0879 0.129 0.314 0.227 GLD 63.0 0.0301 0.0166
4 2006-11-10 48.8 SPY 138. 0.0004 0.0125 0.0144 0.0876 0.121 0.315 0.226 GLD 62.5 -0.0073 0.003
5 2006-11-13 49.0 SPY 139. 0.0025 0.0036 0.0143 0.0774 0.120 0.303 0.237 GLD 62.2 -0.00480 0.00480
6 2006-11-14 49.0 SPY 140. 0.0075 0.0073 0.0203 0.0757 0.129 0.313 0.219 GLD 61.6 -0.009 -0.0066
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
